I've had Scottrade, Etrade, Robinhood, and TD Ameritrade. I've had the most luck with TD Ameritrade. Every other broker has failed me for one reason or another (didn't have the ticker, couldn't file in time, etc.). You get what you pay for IMHO.
Fidelity allows buying, but have rally tightened up and 3 other tickers recently I could not buy. In one case they either responded to a request to re-allow buying, or lifted the restriction for an unrelated reason. In another case the restriction was lifted after some weeks. It is perhaps worth a polite phone call to present a well-reasoned argument why you should be allowed to buy or average-down to recover losses. But I would not press the issue. I have heard of more restrictions with Scottrade than others, but it is just an impression from iHub posters and may not be a meaningful difference.
I use optionsXpress. They recently lowered their commissions to 4.95. When buying penny stock they do state that it may be subject to manual review but so far I have not been prevented from buying any penny stock. I have noticed that my trades usually appear on Level 2 in a matter of seconds. I can also fund my account to trade next day using BillPay vs ACH which is 2-3 business days..